Pilates is mainly mat based so expect to be on the mats for the majority of the session (unless doing the Armchair class).
You should not feel any pain during the class and I have never ached after a session either. You should finish the class feeling tall and nicely balanced.
Pilates takes a few goes to get into, after my first class I only returned for the second because I had paid for a term. After half a term I started to feel the benefits and each month I feel better and better even after years of practice.
Clothing: wear comfortable clothes and socks/bare feet.